Research seminar Oleg Chuprinin (INSEAD) Theme: «Information Disclosure in Corporate Press Releases: Implications for Stock Momentum and Volatility»

On Monday, December 19 at 4.30 pm International College of Economics and Finance will hold Research seminar. Venue:Pokrovski Bulvar, 11, Room Zh-822

Abstact: Using a dataset of over half a million corporate press releases, I study patterns of private information disclosures by the largest U.S. public companies. I find that the amount of positive information released by a company is positively related to both its future stock performance and future positive releases, suggesting that companies tend to ration the delivery of positive news and create sustainable price trends. This effect is stronger for firms with lower information transparency. The segmentation of positive information contributes significantly to the Jegadeesh and Titman momentum effect among winner stocks. At the same time, private information disclosures are negatively related to the arrival of public news, suggesting that releases of private information are timed to mitigate public information shocks. Accordingly, I find that stock volatility is significantly lower for firms that use reserves of positive private information as insurance against unanticipated negative events. Overall, my findings indicate a strong connection between the dynamics of asset prices and company-initiated information releases.